TY  - RPRT
AU  - Martinet, Guillaume Gaetan
AU  - McAleer, Michael
PY  - 2014
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/41608
AB  - Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative...
LA  - eng
KW  - Leverage
KW  - asymmetry
KW  - Existence
KW  - Stochastic process
KW  - asymptotic properties
KW  - Invertibility.
TI  - On the Invertibility of EGARCH
TY  - technical report
VL  - 2014
ER  -